Question
An actively managed portfolio has a transfer coefficient(TC) of 0.5 and an unconstrained information ratio of 0.30. The benchmark portfolio has a Sharpe ratio of
An actively managed portfolio has a transfer coefficient(TC) of 0.5 and an unconstrained information ratio of 0.30. The benchmark portfolio has a Sharpe ratio of 0.4 and a risk of 16%. Required. a) The optimal amount of aggressiveness in the actively manages portfolio b) The Sharpe ratio assuming that the actively managed portfolio is constructed with the amount of active risk. c) Determine how the active risk can be lowered to the optimal level of 6% assuming that the constrained portfolio has an active risk of 8%
2. If the actively managed fund has an information ratio of 0.2 and an active risk of 9%. while the benchmark portfolio has a Sharpe ratio of 0.4 and a total risk of 12%. If a portfolio P with an optimal level of active risk, can be constructed by combining the actively managed fund and the benchmark portfolio. Required I) Calculate portfolio P's Sharpe ratio 2) Determine the proportion of benchmark and actively managed fund forming portfolio P.
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